haku: @indexterm heteroscedasticity / yhteensä: 30
viite: 9 / 30
Tekijä: | Deo, R.S. |
Otsikko: | On testing the adequacy of stable processes under conditional heteroscedasticity |
Lehti: | Journal of Empirical Finance
2002 : MAR, VOL. 9:2, p. 257-270 |
Asiasana: | HETEROSCEDASTICITY MONTE CARLO TECHNIQUE |
Vapaa asiasana: | STABLE PROCESSES TAIL INDEX |
Kieli: | eng |
Tiivistelmä: | The authors consider a recently proposed method of estimating the tail index and testing the goodness-of-fit of dependent stable processes. Through Monte Carlo simulations, they evaluate the ability of the procedure to distinguish between stable and non-stable processes in the presence of non-linear dependence and to estimate the tail index of the distribution. |
SCIMA